Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020
This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum) and the role played by cyber attacks. Specifically, trivariate GARCH-BEKK models are estimated which include suitably defined dummies corresponding to different types, targets...